The Journal of Finance

Asset Growth and the Cross‐Section of Stock Returns

Published: 7/19/2008,  Volume: 63,  Issue: 4  |  DOI: 10.1111/j.1540-6261.2008.01370.x  |  Cited by: 1314

MICHAEL J. COOPER, HUSEYIN GULEN, MICHAEL J. SCHILL

We test for firm‐level asset investment effects in returns by examining the cross‐sectional relation between firm asset growth and subsequent stock returns. Asset growth rates are strong predictors of future abnormal returns. Asset growth retains its forecasting ability even on large capitalization stocks. When we compare asset growth rates with the previously documented determinants of the cross‐section of returns (i.e., book‐to‐market ratios, firm capitalization, lagged returns, accruals, and other growth measures), we find that a firm's annual asset growth rate emerges as an economically and statistically significant predictor of the cross‐section of U.S. stock returns.

Value versus Glamour

Published: 9/11/2003,  Volume: 58,  Issue: 5  |  DOI: 10.1111/1540-6261.00594  |  Cited by: 90

Jennifer Conrad, Michael Cooper, Gautam Kaul

AbstractThe fragility of the CAPM has led to a resurgence of research that frequently uses trading strategies based on sorting procedures to uncover relations between firm characteristics (such as “value” or “glamour”) and equity returns. We examine the propensity of these strategies to generate statistically and economically significant profits due to our familiarity with the data. Under plausible assumptions, data snooping can account for up to 50 percent of the in‐sample relations between firm characteristics and returns uncovered using single (one‐way) sorts. The biases can be much larger if we simultaneously condition returns on two (or more) characteristics.

A Rose.com by Any Other Name

Published: 12/2001,  Volume: 56,  Issue: 6  |  DOI: 10.1111/0022-1082.00408  |  Cited by: 421

Michael J. Cooper, Orlin Dimitrov, P. Raghavendra Rau

We document a striking positive stock price reaction to the announcement of corporate name changes to Internet‐related dotcom names. This “dotcom” effect produces cumulative abnormal returns on the order of 74 percent for the 10 days surrounding the announcement day. The effect does not appear to be transitory; there is no evidence of a postannouncement negative drift. The announcement day effect is also similar across all firms, regardless of the firm's level of involvement with the Internet. A mere association with the Internet seems enough to provide a firm with a large and permanent value increase.

Market States and Momentum

Published: 6/2004,  Volume: 59,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2004.00665.x  |  Cited by: 829

Michael J. Cooper, Roberto C. Gutierrez, Allaudeen Hameed

We test overreaction theories of short‐run momentum and long‐run reversal in the cross section of stock returns. Momentum profits depend on the state of the market, as predicted. From 1929 to 1995, the mean monthly momentum profit following positive market returns is 0.93%, whereas the mean profit following negative market returns is −0.37%. The up‐market momentum reverses in the long‐run. Our results are robust to the conditioning information in macroeconomic factors. Moreover, we find that macroeconomic factors are unable to explain momentum profits after simple methodological adjustments to take account of microstructure concerns.

Corporate Political Contributions and Stock Returns

Published: 3/19/2010,  Volume: 65,  Issue: 2  |  DOI: 10.1111/j.1540-6261.2009.01548.x  |  Cited by: 802

MICHAEL J. COOPER, HUSEYIN GULEN, ALEXEI V. OVTCHINNIKOV

We develop a new and comprehensive database of firm‐level contributions to U.S. political campaigns from 1979 to 2004. We construct variables that measure the extent of firm support for candidates. We find that these measures are positively and significantly correlated with the cross‐section of future returns. The effect is strongest for firms that support a greater number of candidates that hold office in the same state that the firm is based. In addition, there are stronger effects for firms whose contributions are slanted toward House candidates and Democrats.

Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows

Published: 11/10/2005,  Volume: 60,  Issue: 6  |  DOI: 10.1111/j.1540-6261.2005.00818.x  |  Cited by: 371

MICHAEL J. COOPER, HUSEYIN GULEN, P. RAGHAVENDRA RAU

We examine whether mutual funds change their names to take advantage of current hot investment styles, and what effects these name changes have on inflows to the funds, and to the funds' subsequent returns. We find that the year after a fund changes its name to reflect a current hot style, the fund experiences an average cumulative abnormal flow of 28%, with no improvement in performance. The increase in flows is similar across funds whose holdings match the style implied by their new name and those whose holdings do not, suggesting that investors are irrationally influenced by cosmetic effects.

Asset Pricing Implications of Nonconvex Adjustment Costs and Irreversibility of Investment

Published: 1/20/2006,  Volume: 61,  Issue: 1  |  DOI: 10.1111/j.1540-6261.2006.00832.x  |  Cited by: 310

ILAN COOPER

This paper derives a real options model that accounts for the value premium. If real investment is largely irreversible, the book value of assets of a distressed firm is high relative to its market value because it has idle physical capital. The firm's excess installed capital capacity enables it to fully benefit from positive aggregate shocks without undertaking costly investment. Thus, returns to equity holders of a high book‐to‐market firm are sensitive to aggregate conditions and its systematic risk is high. Simulations indicate that the model goes a long way toward accounting for the observed value premium.

MEMBER‐BANK BORROWING FROM THE FEDERAL RESERVE BANK OF CHICAGO, 1951–1966*

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00855.x  |  Cited by: 0

Jack Lee Cooper

CONTINUOUS BORROWING FROM THE FEDERAL RESERVE SYSTEM: SOME EMPIRICAL EVIDENCE

Published: 3/1969,  Volume: 24,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1969.tb00340.x  |  Cited by: 0

Jack L. Cooper

EFFICIENT CAPITAL MARKETS AND THE QUANTITY THEORY OF MONEY

Published: 6/1974,  Volume: 29,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1974.tb01489.x  |  Cited by: 29

Richard V. L. Cooper

ESTIMATION AND USES OF THE TERM STRUCTURE OF INTEREST RATES

Published: 9/1976,  Volume: 31,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1976.tb01960.x  |  Cited by: 68

Willard T. Carleton, Ian A. Cooper

The Default Risk of Swaps

Published: 6/1991,  Volume: 46,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1991.tb02676.x  |  Cited by: 86

IAN A. COOPER, ANTONIO S. MELLO

We characterize the exchange of financial claims from risky swaps. These transfers are among three groups: shareholders, debtholders, and the swap counterparty. From this analysis we derive equilibrium swap rates and relate them to debt market spreads. We then show that equilibrium swaps in perfect markets transfer wealth from shareholders to debtholders. In a simplified case, we obtain closed‐form solutions for the value of the default risk in the swap. For interest‐rate swaps, we obtain numerical solutions for the equilibrium swap rate, including default risk. We compare these with equilibrium debt market default risk spreads.

Dynamics of Borrower‐Lender Interaction: Partitioning Final Payoff in Venture Capital Finance

Published: 5/1979,  Volume: 34,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1979.tb02117.x  |  Cited by: 13

IAN A. COOPER, WILLARD T. CARLETON

The Interaction of Financing and Investment Decisions When the Firm has Unused Tax Credits††

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02267.x  |  Cited by: 2

WILBUR G. LEWELLEN, IAN COOPER, JULIAN R. FRANKS

PAPERS AND PROCEEDINGS FIFTY‐SECOND ANNUAL MEETING AMERICAN FINANCE ASSOCIATION

Published: 7/1992,  Volume: 47,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1992.tb03995.x  |  Cited by: 0

MICHAEL C. JENSEN, MICHAEL KEENAN

Report of the Executive Secretary and Treasurer for the Year Ending September 30, 1989

Published: 7/1990,  Volume: 45,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1990.tb05116.x  |  Cited by: 0

Michael Keenan

Minutes of the Annual Membership Meeting

Published: 7/1996,  Volume: 51,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1996.tb02716.x  |  Cited by: 1

Michael Keenan

Minutes of the Annual Membership Meeting

Published: 7/1989,  Volume: 44,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1989.tb04392.x  |  Cited by: 0

Michael Keenan

Minutes of the Annual Membership Meeting

Published: 7/1986,  Volume: 41,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1986.tb04542.x  |  Cited by: 0

Michael Keenan

THE COST OF CAPITAL AND VALUATION OF A TWO‐COUNTRY FIRM: REPLY

Published: 9/1977,  Volume: 32,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1977.tb03335.x  |  Cited by: 1

Michael Adler

Report of the Executive Secretary and Treasurer

Published: 7/1992,  Volume: 47,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1992.tb04013.x  |  Cited by: 0

Michael Keenan

Minutes of the Annual Membership Meeting

Published: 7/1995,  Volume: 50,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1995.tb04044.x  |  Cited by: 0

Michael Keenan

A NOTE ON DIVIDEND IRRELEVANCE AND THE GORDON VALUATION MODEL*

Published: 12/1971,  Volume: 26,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1971.tb01752.x  |  Cited by: 15

Michael Brennan

THE INFORMATION CONTENT OF LARGE INVESTMENT HOLDINGS

Published: 12/1975,  Volume: 30,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1975.tb01054.x  |  Cited by: 5

Michael Firth

AN INVESTIGATION OF FACTORS ASSOCIATED WITH VARIATIONS IN THE RELATIVE IMPORTANCE OF COMMERCIAL‐BANK RESIDENTIAL REAL‐ESTATE LOANS*

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00859.x  |  Cited by: 0

Michael Palmer

A Simple Nonparametric Approach to Derivative Security Valuation

Published: 12/1996,  Volume: 51,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1996.tb05220.x  |  Cited by: 227

MICHAEL STUTZER

Canonical valuation uses historical time series to predict the probability distribution of the discounted value of primary assets' discounted prices plus accumulated dividends at any future date. Then the axiomatically‐rationalized maximum entropy principle is used to estimate risk‐neutral (equivalent martingale) probabilities that correctly price the primary assets, as well as any predesignated subset of derivative securities whose payoffs occur at this date. Valuation of other derivative securities proceeds by calculation of its discounted, risk‐neutral expected value. Both simulation and empirical evidence suggest that canonical valuation has merit.

Report of the Executive Secretary and Treasurer

Published: 7/1993,  Volume: 48,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1993.tb04032.x  |  Cited by: 0

Michael Keenan

Report of the Executive Secretary and Treasurer

Published: 7/1991,  Volume: 46,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1991.tb03779.x  |  Cited by: 0

Michael Keenan

Does Borrowing from Banks Cost More than Borrowing from the Market?

Published: 10/30/2019,  Volume: 75,  Issue: 2  |  DOI: 10.1111/jofi.12849  |  Cited by: 134

MICHAEL SCHWERT

This paper investigates the pricing of bank loans relative to capital market debt. The analysis uses a novel sample of loans matched with bond spreads from the same firm on the same date. After accounting for seniority, lenders earn a large premium relative to the bond‐implied credit spread. In a sample of secured term loans to noninvestment‐grade firms, the average premium is 140 to 170 bps or about half of the all‐in‐drawn spread. This is the first direct evidence of firms' willingness to pay for bank credit and raises questions about the nature of competition in the loan market.

Minutes of the Annual Membership Meeting

Published: 7/1993,  Volume: 48,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1993.tb04031.x  |  Cited by: 0

Michael Keenan

Report of the Executive Secretary and Treasurer

Published: 7/1986,  Volume: 41,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1986.tb04543.x  |  Cited by: 0

Michael Keenan

THE COST OF CAPITAL AND VALUATION OF A TWO‐COUNTRY FIRM

Published: 3/1974,  Volume: 29,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1974.tb00028.x  |  Cited by: 15

Michael Adler

Report of the Executive Secretary and Treasurer

Published: 8/1998,  Volume: 53,  Issue: 4  |  DOI: 10.1111/0022-1082.00059  |  Cited by: 0

Michael Keenan

SYNERGISM IN MERGERS: SOME BRITISH RESULTS*

Published: 5/1978,  Volume: 33,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1978.tb04878.x  |  Cited by: 7

Michael Firth

Report of the Executive Secretary and Treasurer

Published: 7/1989,  Volume: 44,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1989.tb04393.x  |  Cited by: 0

Michael Keenan

FROM THE EXSEC'S NOTEBOOK

Published: 12/1997,  Volume: 52,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1997.tb02740.x  |  Cited by: 0

Michael Keenan

ON RISK‐ADJUSTED CAPITALIZATION RATES AND VALUATION BY INDIVIDUALS

Published: 9/1970,  Volume: 25,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1970.tb00556.x  |  Cited by: 3

Michael Adler

Municipal Bond Liquidity and Default Risk

Published: 6/13/2017,  Volume: 72,  Issue: 4  |  DOI: 10.1111/jofi.12511  |  Cited by: 257

MICHAEL SCHWERT

This paper examines the pricing of municipal bonds. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, and find that default risk accounts for 74% to 84% of the average spread after adjusting for tax‐exempt status. The first approach estimates the liquidity component using transaction data, the second measures the default component with credit default swap data, and the third is a quasi‐natural experiment that estimates changes in default risk around pre‐refunding events. The price of default risk is high given the rare incidence of municipal default and implies a high risk premium.

Hedging or Market Timing? Selecting the Interest Rate Exposure of Corporate Debt

Published: 3/2/2005,  Volume: 60,  Issue: 2  |  DOI: 10.1111/j.1540-6261.2005.00751.x  |  Cited by: 213

MICHAEL FAULKENDER

This paper examines whether firms are hedging or timing the market when selecting the interest rate exposure of their new debt issuances. I use a more accurate measure of the interest rate exposure chosen by firms by combining the initial exposure of newly issued debt securities with their use of interest rate swaps. The results indicate that the final interest rate exposure is largely driven by the slope of the yield curve at the time the debt is issued. These results suggest that interest rate risk management practices are primarily driven by speculation or myopia, not hedging considerations.

Minutes of the Annual Membership Meeting

Published: 7/1991,  Volume: 46,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1991.tb03778.x  |  Cited by: 0

Michael Kennan

Report of the Executive Secretary and Treasurer

Published: 7/1996,  Volume: 51,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1996.tb02717.x  |  Cited by: 0

Michael Keenan

From the ExSec's Notebook

Published: 12/1998,  Volume: 53,  Issue: 6  |  DOI: 10.1111/0022-1082.00094  |  Cited by: 0

Michael Keenan

The Relationship Between Stock Market Returns and Rates of Inflation

Published: 6/1979,  Volume: 34,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1979.tb02139.x  |  Cited by: 65

MICHAEL FIRTH

Report of the Executive Secretary and Treasurer: for the Year Ending September 30, 1986

Published: 7/1987,  Volume: 42,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1987.tb04587.x  |  Cited by: 0

Michael Keenan

Report of the Executive Secretary and Treasurer

Published: 7/1995,  Volume: 50,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1995.tb04045.x  |  Cited by: 0

Michael Keenan

The Use of Electronic Funds Transfers to Capture the Effects of Cash Management Practices on the Demand for Demand Deposits: A Note

Published: 12/1985,  Volume: 40,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1985.tb02397.x  |  Cited by: 6

MICHAEL DOTSEY

The rapidly increasing use of more sophisticated cash management practices is a factor influencing the demand for money that is not considered in standard models of money demand. Within the framework of an inventory theoretic model of money demand, this paper provides theoretical grounds for using the number of electronic funds transfers as an indication of increasing cash management sophistication. Specifically, the demand for demand deposits is determined from the solution of a simultaneous equation system that also determines the optimal level of cash management. Therefore, the level of cash management services influences transactions costs, implying that transactions costs are endogenous. The number of electronic funds transfers is closely linked to the level of cash management services and is therefore related to transactions costs. Models of money demand that treat transactions costs as exogenous and fixed are therefore misspecified and will not perform well when transactions costs are changing. By explicitly incorporating the changing nature of transactions costs through the use of electronic funds transfers, the problems of instability and poor predictive power associated with the demand for money in the 1970's are overcome.

CLO Performance

Published: 4/10/2023,  Volume: 78,  Issue: 3  |  DOI: 10.1111/jofi.13224  |  Cited by: 32

LARRY CORDELL, MICHAEL R. ROBERTS, MICHAEL SCHWERT

We study the performance of collateralized loan obligations (CLOs) to understand the market imperfections giving rise to these vehicles and their corresponding economic costs. CLO equity tranches earn positive abnormal returns from the risk‐adjusted price differential between leveraged loans and CLO debt tranches. Debt tranches offer higher returns than similarly rated corporate bonds, making them attractive to banks and insurers that face risk‐based capital requirements. Temporal variation in equity performance highlights the resilience of CLOs to market volatility due to their closed‐end structure, long‐term funding, and embedded options to reinvest principal proceeds.

Minutes of the Annual Membership Meeting

Published: 8/1998,  Volume: 53,  Issue: 4  |  DOI: 10.1111/0022-1082.00058  |  Cited by: 0

Michael Keenan

STATISTICAL TESTS OF THE KEYNESIAN DEMAND FUNCTION FOR MONEY: COMMENT

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00851.x  |  Cited by: 0

Michael Hudson

SOME CHARACTERISTICS OF TREASURY BILL DEALERS IN THE AUCTION MARKET*

Published: 3/1965,  Volume: 20,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1965.tb00183.x  |  Cited by: 1

Michael Rieber